DIA Options History — August 2018

In August 2018, DIA traded between $251.87 and $261.48. ATM implied volatility averaged 10.3%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.0% (HV 20d: 8.2%). Max pain ranged from $250.00 to $255.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.86.

Notable Days

2018-08-17: Highest Volume — 134,876 contracts
2018-08-10: Largest IV spike — 16.4% change
2018-08-15: Highest IV Rank — 25.6%
2018-08-15: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$256.37	$251.87	$261.48	$253.39	$259.72
Max Pain	$252.13	$250.00	$255.00	$252.00	$255.00
ATM IV	10.3%	8.8%	11.8%	10.9%	10.5%
Expected Move	3.0%	2.7%	3.5%	3.2%	3.0%
HV 20d	8.2%	6.0%	9.3%	8.5%	9.3%
HV 60d	10.2%	9.4%	10.7%	10.5%	9.4%
IV Rank	17.7%	10.1%	25.6%	21.2%	19.0%
IV Percentile	43.9%	29.0%	63.1%	53.6%	45.2%
Term Structure	0.3%	-0.1%	0.7%	-0.1%	0.2%
VWIV	11.2%	10.2%	12.9%	12.7%	11.1%
Skew 25d	3.2%	2.1%	4.3%	3.5%	3.1%
Skew 10d	6.3%	4.2%	8.7%	6.5%	6.1%
Call IV 25d	9.3%	8.3%	10.5%	9.6%	9.6%
Put IV 25d	12.5%	10.5%	14.7%	13.1%	12.7%
Bid-Ask Spread %	6.63	4.78	9.67	5.19	8.33
Gamma HHI	0.07	0.04	0.14	0.06	0.13
Net GEX	218.9M	3.0M	372.1M	157.9M	311.3M
Net DEX	-1.59B	-2.72B	-407.9M	-1.04B	-2.24B
Net VEX	-14.9M	-16.7M	-13.2M	-14.5M	-16.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.38	1.46	1.41	0.98
Total Volume	70,269.043	40,544	134,876	66,821	74,597
Total OI	580,200.217	537,056	652,310	538,359	652,310

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-08-01	$253.39	$252.00	10.9%	3.2%	8.5%	21.2%	12.7%	3.5%	-0.1%	157.9M	-1.04B	-14.5M	1.41	5.19	27,746	39,075	320,156	218,203
2018-08-02	$253.15	$252.00	10.4%	2.9%	8.4%	18.2%	11.2%	3.3%	-0.0%	94.9M	-886.2M	-14.3M	0.98	4.92	33,918	33,272	322,250	227,539
2018-08-03	$254.25	$252.00	9.8%	2.7%	8.3%	15.2%	10.7%	3.1%	0.1%	142.6M	-1.33B	-14.2M	1.46	4.78	28,809	42,137	328,591	230,148
2018-08-06	$254.82	$250.00	9.5%	3.0%	7.1%	13.7%	11.2%	2.8%	0.4%	170.5M	-1.33B	-14.1M	0.76	6.21	30,010	22,700	314,691	222,365
2018-08-07	$256.27	$250.00	9.2%	2.9%	7.1%	12.0%	10.6%	2.5%	0.4%	256.4M	-1.87B	-13.5M	0.73	7.96	35,072	25,762	319,877	222,973
2018-08-08	$256.02	$250.00	8.8%	2.8%	6.3%	10.1%	10.2%	2.1%	0.5%	231.7M	-1.68B	-13.7M	0.80	8.09	24,102	19,174	320,664	227,020
2018-08-09	$255.56	$250.00	9.0%	2.8%	6.0%	11.1%	10.3%	2.3%	0.4%	209.8M	-1.58B	-13.8M	0.88	6.93	21,607	18,937	323,055	229,296
2018-08-10	$253.23	$250.00	10.5%	3.2%	7.0%	18.9%	11.8%	3.6%	0.2%	3.0M	-716.3M	-13.4M	1.03	6.62	43,973	45,119	324,784	231,655
2018-08-13	$252.35	$250.00	11.2%	3.4%	7.1%	22.4%	12.5%	4.3%	0.7%	68.8M	-592.3M	-14.0M	0.88	6.52	34,322	30,096	323,833	225,959
2018-08-14	$253.29	$251.00	10.5%	3.1%	7.1%	19.0%	11.5%	3.5%	0.4%	127.2M	-792.6M	-13.2M	0.73	6.66	31,203	22,708	328,509	233,230
2018-08-15	$251.87	$250.00	11.8%	3.5%	7.4%	25.6%	12.9%	4.2%	0.2%	50.3M	-407.9M	-14.0M	0.82	9.67	56,151	46,001	335,770	235,082
2018-08-16	$256.01	$251.00	10.6%	3.1%	9.2%	19.3%	11.6%	3.5%	0.4%	371.3M	-1.93B	-15.5M	0.64	6.30	68,136	43,506	351,229	242,128
2018-08-17	$256.66	$252.00	10.1%	3.0%	9.2%	16.9%	11.3%	3.4%	0.6%	372.1M	-1.73B	-15.4M	0.38	6.95	97,586	37,290	335,119	253,077
2018-08-20	$257.54	$253.00	10.4%	3.0%	9.2%	18.2%	10.7%	3.2%	0.1%	245.8M	-1.80B	-15.8M	0.65	5.73	37,508	24,288	361,903	216,527
2018-08-21	$258.32	$253.00	10.5%	3.0%	9.0%	19.1%	11.2%	3.1%	-0.0%	273.9M	-1.98B	-16.0M	0.67	6.31	36,932	24,826	367,898	221,648
2018-08-22	$257.45	$253.00	10.4%	3.0%	8.9%	18.4%	11.2%	3.0%	0.4%	259.8M	-1.74B	-15.2M	1.06	8.71	26,576	28,236	374,069	224,491
2018-08-23	$256.49	$253.00	10.8%	3.1%	8.8%	20.4%	11.0%	3.2%	0.4%	217.6M	-1.47B	-15.7M	0.82	5.95	37,389	30,623	377,418	228,963
2018-08-24	$257.83	$254.00	10.2%	2.9%	8.9%	17.3%	10.6%	2.8%	0.2%	349.8M	-1.86B	-15.9M	0.96	5.94	33,324	31,933	382,471	236,905
2018-08-27	$260.36	$254.00	10.2%	2.9%	9.1%	17.4%	10.8%	3.5%	0.2%	278.5M	-2.34B	-15.3M	0.79	5.48	38,195	30,221	372,531	226,325
2018-08-28	$260.69	$254.00	10.1%	2.8%	9.1%	16.6%	10.8%	3.4%	0.6%	298.0M	-2.44B	-15.4M	0.82	5.92	34,514	28,231	378,279	232,348
2018-08-29	$261.48	$255.00	10.1%	2.9%	9.0%	16.6%	11.0%	2.6%	-0.1%	303.8M	-2.72B	-16.7M	0.83	5.95	29,124	24,203	380,063	238,306
2018-08-30	$259.86	$255.00	10.8%	3.1%	9.3%	20.5%	11.5%	3.1%	0.2%	238.8M	-2.15B	-16.3M	0.80	7.29	48,298	38,758	382,929	242,018
2018-08-31	$259.72	$255.00	10.5%	3.0%	9.3%	19.0%	11.1%	3.1%	0.2%	311.3M	-2.24B	-16.5M	0.98	8.33	37,741	36,856	402,516	249,794